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  1. Handbook of heavy tailed distributions in finance
    Published: 2010
    Publisher:  Elsevier, Amsterdam

    Heavy tails in finance for independent or multifractal price increments Benoit B. Mandelbrot -- Financial risk and heavy tails Brendan O. Bradley and Murad S. Taqqu -- Modeling financial data with stable distributions John P. Nolan -- Statistical... more

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    Bibliotheks-und Informationssystem der Carl von Ossietzky Universität Oldenburg (BIS)
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    Heavy tails in finance for independent or multifractal price increments Benoit B. Mandelbrot -- Financial risk and heavy tails Brendan O. Bradley and Murad S. Taqqu -- Modeling financial data with stable distributions John P. Nolan -- Statistical issues in modeling multivariate stable portfolios Tomasz J. Kozubowski, Anna K. Panorska and Svetlozar T. Rachev -- Jump-diffusion models Wolfgang J. Runggaldier -- Hyperbolic processes in finance Bo Martin Bibby and Michael Sørensen -- Stable modeling of market and credit value at risk Svetlozar T. Rachev, Eduardo S. Schwartz and Irina Khindanova -- Mo delling dependence with copulas and applications to risk management Paul Embrechts, Filip Lindskog and Alexander McNeil -- Prediction of financial downside-risk with heavy-tailed conditional distributions Stefan Mittnik and Marc S. Paolella -- Stable non-Gaussian models for credit risk management Bernhard Martin, Svetlozar T. Rachev and Eduardo S. Schwartz -- Multifactor stochastic variance models in risk management : maximum entropy approach and Lévy processes Alexander Levin and Alexander TchernitseMo dellingodelling the term structure of monetary rates Luisa Izzi -- Asset liability management : a review and some new results in the presence of heavy tails Yesim Tokat, Svetlozar T. Rachev and Eduardo S. Schwartz -- Portfolio choice theory with non-Gaussian distributed returns Sergio Ortobelli [and others] -- Portfolio modeling with heavy tailed random vectors Mark M. Meerschaert and Hans-Peter Scheffler -- Long range dependence in heavy tailed stochastic processes Borjana Racheva-Iotova and Gennaday Samorodnitsky. - The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series. This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modeling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9780080557731; 0080557732; 9780444508966
    Series: Handbooks in finance 1568-4997 ; bk. 1
    Handbooks in finance ; bk. 1
    Subjects: Finance; Finance; Finance; Finance; BUSINESS & ECONOMICS ; Finance; Financieel management; Statistische methoden
    Scope: Online Ressource (xxiv, 680 pages), illustrations.
    Notes:

    Includes bibliographical references and indexes. - Print version record

    Print version record

    Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002

    Online-Ausg. [S.l.] : HathiTrust Digital Library

    Brendan O. Bradley and Murad S. Taqqu: Heavy tails in finance for independent or multifractal price incrementsBenoit B. MandelbrotFinancial risk and heavy tails

    John P. Nolan: Modeling financial data with stable distributions

    Tomasz J. Kozubowski, Anna K. Panorska and Svetlozar T. Rachev: Statistical issues in modeling multivariate stable portfolios

    Wolfgang J. Runggaldier: Jump-diffusion models

    Bo Martin Bibby and Michael Sørensen: Hyperbolic processes in finance

    Svetlozar T. Rachev, Eduardo S. Schwartz and Irina Khindanova: Stable modeling of market and credit value at risk

    Paul Embrechts, Filip Lindskog and Alexander McNeil: Mo delling dependence with copulas and applications to risk management

    Stefan Mittnik and Marc S. Paolella: Prediction of financial downside-risk with heavy-tailed conditional distributions

    Bernhard Martin, Svetlozar T. Rachev and Eduardo S. Schwartz: Stable non-Gaussian models for credit risk management

    Alexander Levin and Alexander TchernitseMo dellingodelling the term structure of monetary rates: Multifactor stochastic variance models in risk management : maximum entropy approach and Lévy processes

    Yesim Tokat, Svetlozar T. Rachev and Eduardo S. Schwartz: Asset liability management : a review and some new results in the presence of heavy tails

    Sergio Ortobelli ... [et al.]: Portfolio choice theory with non-Gaussian distributed returns

    Mark M. Meerschaert and Hans-Peter Scheffler: Portfolio modeling with heavy tailed random vectors

    Borjana Racheva-Iotova and Gennaday Samorodnitsky.: Long range dependence in heavy tailed stochastic processes
  2. Handbook of heavy tailed distributions in finance
    Published: c 2003
    Publisher:  Elsevier, Amsterdam [u.a.]

    The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance,... more

    Location:
    Technische Universität Hamburg, Universitätsbibliothek
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    Zentrale Hochschulbibliothek Lübeck
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    KaufEBook202103
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    Location:
    Otto-von-Guericke-Universität, Universitätsbibliothek
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    eBook Elsevier (EBS 2012)
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    Location:
    Bibliotheks-und Informationssystem der Carl von Ossietzky Universität Oldenburg (BIS)
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    Location:
    Bibliotheks-und Informationssystem der Carl von Ossietzky Universität Oldenburg (BIS)
    Inter-library loan:
    No inter-library loan

     

    The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series. This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modeling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management

     
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9780444508966; 0080557732; 9780080557731
    Series: Handbooks in finance ; bk. 1
    Subjects: Finance; Finance
    Scope: XXIV, 680 S.
    Notes:

    Includes bibliographical references and indexes

    Description based on print version record

    Electronic reproduction; Available via World Wide Web

    Brendan O. Bradley and Murad S. Taqqu: Heavy tails in finance for independent or multifractal price incrementsBenoit B. MandelbrotFinancial risk and heavy tails

    John P. Nolan: Modeling financial data with stable distributions

    Tomasz J. Kozubowski, Anna K. Panorska and Svetlozar T. Rachev: Statistical issues in modeling multivariate stable portfolios

    Wolfgang J. Runggaldier: Jump-diffusion models

    Bo Martin Bibby and Michael Sørensen: Hyperbolic processes in finance

    Svetlozar T. Rachev, Eduardo S. Schwartz and Irina Khindanova: Stable modeling of market and credit value at risk

    Paul Embrechts, Filip Lindskog and Alexander McNeil: Mo delling dependence with copulas and applications to risk management

    Stefan Mittnik and Marc S. Paolella: Prediction of financial downside-risk with heavy-tailed conditional distributions

    Bernhard Martin, Svetlozar T. Rachev and Eduardo S. Schwartz: Stable non-Gaussian models for credit risk management

    Alexander Levin and Alexander TchernitseMo dellingodelling the term structure of monetary rates: Multifactor stochastic variance models in risk management : maximum entropy approach and Lévy processes

    Yesim Tokat, Svetlozar T. Rachev and Eduardo S. Schwartz: Asset liability management : a review and some new results in the presence of heavy tails

    Sergio Ortobelli ... [et al.]: Portfolio choice theory with non-Gaussian distributed returns

    Mark M. Meerschaert and Hans-Peter Scheffler: Portfolio modeling with heavy tailed random vectors

    Borjana Racheva-Iotova and Gennaday Samorodnitsky.: Long range dependence in heavy tailed stochastic processes